| Close | |
|---|---|
| Annualized Return | 0.0822 |
| Annualized Std Dev | 0.2030 |
| Annualized Sharpe (Rf=0%) | 0.4047 |
| Close | |
|---|---|
| Observations | 5173.0000 |
| NAs | 1.0000 |
| Minimum | -0.1117 |
| Quartile 1 | -0.0052 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1091 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0128 |
| Skewness | -0.1514 |
| Kurtosis | 7.5770 |
| Close | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0098 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.5401 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0305 |
| Modified VaR (95%) | -0.0192 |
| Modified ES (95%) | -0.0321 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-04-26 | -0.5401 | 981 | 443 | 538 |
| 2001-05-23 | 2003-03-12 | 2006-10-12 | -0.4149 | 1355 | 450 | 905 |
| 2020-02-20 | 2020-03-23 | 2020-08-05 | -0.3331 | 117 | 23 | 94 |
| 2018-09-28 | 2018-12-24 | 2019-04-12 | -0.2065 | 135 | 60 | 75 |
| 2000-07-17 | 2000-12-20 | 2001-05-21 | -0.1898 | 182 | 79 | 103 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | -0.4 | -0.4 | -0.7 | -1.2 | 0.6 | 1 | 0.6 | -0.5 |
| 2001 | -0.5 | -1.6 | 0.6 | 2.1 | 0 | 1.6 | -0.4 | 1.4 | -1.1 | 1.1 | 1.4 | -1 | 3.5 |
| 2002 | -0.9 | 2.3 | -1.3 | 1.6 | 1 | -3 | -2.9 | 0 | 2.1 | 1.5 | -0.5 | 1.3 | 1 |
| 2003 | 0.2 | 1.2 | -0.6 | -0.4 | 1.5 | 0.1 | -0.8 | 0.5 | 2.4 | 0 | 0.6 | 0.2 | 5 |
| 2004 | -0.6 | 1.2 | -0.3 | -0.2 | 0.2 | -1.2 | -0.2 | 0.2 | 1.1 | 0.2 | 1.8 | -0.3 | 1.8 |
| 2005 | 0.3 | 1 | -1.2 | 0.1 | 0.7 | 0.1 | 0.2 | -1 | 0.6 | 0.3 | 1 | -0.5 | 1.7 |
| 2006 | 0.5 | 0.7 | -0.1 | 0 | 1.4 | 0 | -1.1 | 0.9 | -0.4 | -1.1 | -0.2 | -0.4 | 0.1 |
| 2007 | 0.2 | -0.3 | -0.1 | 0.2 | 0.9 | -0.1 | 0.3 | 1.3 | 0.5 | -2.5 | 1.8 | -0.5 | 1.5 |
| 2008 | 1.8 | -2.6 | 3.9 | 2.5 | -0.6 | 0.2 | -0.5 | -0.8 | -1 | 2.1 | -7.4 | 2.2 | -0.7 |
| 2009 | -2.8 | 0.1 | 1.8 | -0.4 | 3.8 | 0.4 | -0.3 | -1.5 | -1.8 | -2.3 | 1.3 | -1.1 | -3 |
| 2010 | 1.1 | 1.3 | 0.5 | -1.8 | -1.6 | 0.8 | 0.6 | 3.2 | 0.1 | -0.1 | 1.8 | -0.4 | 5.7 |
| 2011 | 1.5 | -1.6 | 0.7 | 0.1 | -2 | 1.7 | -0.7 | -1.2 | -2.5 | -2 | 0.1 | -0.5 | -6.2 |
| 2012 | 0.8 | 0.5 | 0.2 | 0.4 | -2.7 | 2.2 | -0.6 | 0.4 | 0.1 | 0.9 | 0.5 | 1.8 | 4.5 |
| 2013 | 0.8 | 0.6 | -0.5 | -0.2 | -1.1 | 0.7 | 1.3 | -0.7 | 0.9 | 0.4 | 0.1 | 0.1 | 2.5 |
| 2014 | -0.9 | 0.4 | 1.2 | 0.3 | 0.3 | 1 | -0.1 | -0.1 | -1.5 | 0.9 | -1 | -0.5 | 0.1 |
| 2015 | -1.4 | -0.2 | -0.6 | 1.4 | 0.2 | 1 | 0.4 | -2.2 | 0.6 | -0.2 | 1.1 | -0.9 | -1 |
| 2016 | 0.6 | 2.1 | 0.6 | 0.1 | 0.2 | 0.8 | 0.1 | 0.3 | 0.9 | -0.7 | -0.2 | -0.8 | 4 |
| 2017 | -0.2 | 0.8 | 0.1 | 0.2 | 1.1 | 0.2 | 0.4 | 0.3 | 0.3 | 0.1 | -0.1 | -0.6 | 2.7 |
| 2018 | -1 | -1.1 | 1.3 | 0.2 | 0.5 | -0.1 | -0.4 | 0.5 | -0.3 | 2 | 0.1 | 1.2 | 3 |
| 2019 | -1.3 | 0.6 | 1.1 | -0.8 | -1.2 | 0.8 | -0.9 | -0.3 | -0.7 | 0.5 | -0.6 | 0 | -2.9 |
| 2020 | -0.6 | -1.2 | -4.1 | -2.8 | 0.9 | 1.2 | 0.1 | 1.2 | 1.2 | -1.6 | 0.9 | 0.2 | -4.7 |
| 2021 | 1.2 | 1.9 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-06-28 14.9 SPY 146. 0.0028 -0.0154 0.0199 -0.0374 0.0625 NA NA <NA> NA NA NA
2 2000-06-30 14.9 SPY 145. 0.0076 0.0063 -0.0002 -0.0339 0.0421 NA NA <NA> NA NA NA
3 2000-07-06 15.2 SPY 146. 0.0078 0.0013 -0.0049 -0.023 0.0435 NA NA <NA> NA NA NA
4 2000-07-07 15.6 SPY 148. 0.0161 0.0271 0.0041 -0.0159 0.054 NA NA <NA> NA NA NA
5 2000-07-14 15.9 SPY 151. 0.0098 0.0213 0.023 0.0485 0.0665 NA NA <NA> NA NA NA
6 2000-07-17 15.9 SPY 151 -0.0017 0.0213 0.0192 0.0912 0.0719 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>